[step:Extend to arbitrary compact subsets of $\mathbb{R}^d$ by Mayer-Vietoris induction]Let $A \subset \mathbb{R}^d$ be an arbitrary compact set. Since $A$ is compact, it can be covered by finitely many open convex sets $V_1, \ldots, V_m$ (e.g., small open balls). Set $A_j := A \cap \overline{V}_j$, which is compact and convex (as the intersection of a compact set with a closed convex set). Then $A = A_1 \cup \cdots \cup A_m$.
We induct on $m$. The base case $m = 1$ is handled by the previous step. For the inductive step, write $A = A' \cup A_m$ where $A' = A_1 \cup \cdots \cup A_{m-1}$, and assume both $A'$ and $A_m$ are good (and so is $A' \cap A_m$, since it is a compact subset of $\mathbb{R}^d$ covered by $m - 1$ convex compact sets).
The Mayer-Vietoris sequence for the pair $(M, M \setminus A)$ gives
\begin{align*}
\cdots \to H_{i+1}(M \mid A' \cap A_m; R) \to H_i(M \mid A'; R) \oplus H_i(M \mid A_m; R) \to H_i(M \mid A; R) \to H_i(M \mid A' \cap A_m; R) \to \cdots
\end{align*}
**Vanishing for $i > d$.** Since $A'$, $A_m$, and $A' \cap A_m$ are all good, $H_i = 0$ for $i > d$ in the first, second, and fourth terms. The exact sequence forces $H_i(M \mid A; R) = 0$ for $i > d$.
**Existence and uniqueness of $\mu_A$ for $i = d$.** The portion of the sequence at $i = d$ reads
\begin{align*}
0 = H_{d+1}(M \mid A' \cap A_m; R) \to H_d(M \mid A'; R) \oplus H_d(M \mid A_m; R) \xrightarrow{\phi} H_d(M \mid A; R) \to H_d(M \mid A' \cap A_m; R).
\end{align*}
The map $\phi$ sends $(\alpha, \beta) \mapsto i_*(\alpha) + j_*(\beta)$ where $i, j$ are the inclusions. Consider the classes $\mu_{A'} \in H_d(M \mid A'; R)$ and $\mu_{A_m} \in H_d(M \mid A_m; R)$ provided by the inductive hypothesis. Both restrict to $\mu_x$ at each $x$ in their respective supports. The element $\mu_{A'} - \mu_{A_m}$ maps to zero under the map to $H_d(M \mid A' \cap A_m; R)$ because both classes restrict to $\mu_x$ for every $x \in A' \cap A_m$, and $\mu_{A' \cap A_m}$ is the unique such class, so both restrictions equal $\mu_{A' \cap A_m}$. By exactness, $\phi(\mu_{A'}, \mu_{A_m})$ is a well-defined class $\mu_A \in H_d(M \mid A; R)$ that restricts to $\mu_x$ for every $x \in A$.
For uniqueness: suppose $\mu$ and $\mu'$ both restrict to $\mu_x$ for every $x \in A$. Then $\mu - \mu'$ restricts to zero at every point, so its images in $H_d(M \mid A'; R)$ and $H_d(M \mid A_m; R)$ are both zero (by uniqueness of $\mu_{A'}$ and $\mu_{A_m}$). Since $\phi$ has trivial kernel (from the vanishing of $H_{d+1}(M \mid A' \cap A_m; R) = 0$ and the exact sequence), $\mu = \mu'$.[/step]